Born in Wantage, Oxfordshire, England to a pianist mother and nuclear physicist father, her family moved to Perth, Australia when O'Connor was two. Raised a Roman Catholic, O'Connor attended the Mercedes College in Perth. She then went on to attend the Western Australian Academy of Performing Arts and earned a BA in literature from the Curtin University of Technology in Western Australia.

O'Connor and her long-term partner, Gerald Lepkowski, have a son, Luka, born in April 2005.

Starting in 2013, O'Connor originated a role on the ITV period series Mr Selfridge, portraying the role of Rose Selfridge.